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RBS 12-Month Oil Total Return Index (USD) (the "Benchmark Index")
The Benchmark Index utilizes a rules-based methodology to provide exposure to a
hypothetical notional investment in a series of 12 light sweet crude oil (WTI)
futures contracts that are traded on the New York Mercantile Exchange. The 12
futures contracts comprising the Benchmark Index on any given day will be the
futures contracts scheduled to expire in the immediately following calendar
month and futures contracts scheduled to expire in each of the eleven months
thereafter. The Benchmark Index is rebalanced on a monthly basis so that each
of the 12 contracts is equally weighted upon each rebalancing. For more
information regarding the RBS 12-Month Oil Total Return Index (USD) methodology
please see the RBS Oil Trendpilot ETN pricing supplement.
Historical Performance (%) -- as of 6/30/2013
annualized since rbs
annualized etn inception
1-month (%) 3-month (%) year-to-date (%) 1-year (%) (9/13/2011) (%)
----------------------------------------------------- ----------- ----------- ---------------- ---------- --------------------
RBS Oil Trendpilot[] ETN Daily Redemption Value(1) 0.82 -11.90 -14.22 -22.94 -12.37
RBS Oil Trendpilot[] Index (USD) 0.89 -11.71 -13.85 -22.28 -11.63
RBS 12-Month Oil Total Return Index (Benchmark Index) 3.14 -2.14 1.35 7.17 1.04
Cash rate on 6/30/2013 was 0.06% -- -- -- -- --
Source: Bloomberg. The table above presents the actual historical performance
of the RBS ETNs, the Index and the RBS 12-Month Oil Total Return Index over the
specified periods. It is not possible to invest directly in an index. For
information regarding the performance of the Index, see pages PS-14 to PS-17 of
the pricing supplement of the RBS ETNs filed with the U.S. Securites and
Exchange Commisson (SEC). Past performance does not guarantee future results.
(1) Includes the deduction of the annual investor fee, which accrues on a daily
basis. The annual investor fee will be equal to (i) 1.10% per annum when the
Index is tracking the Benchmark Index, and (ii) 0.50% per annum when the Index
is tracking the Cash Rate.
CERTAIN RISK CONSIDERATIONS: The RBS ETNs involve risks not associated with an
investment in conventional debt securities, including a possible loss of some
or all of your investment. The level of the Index must increase by an amount
sufficient to offset the aggregate investor fee applicable to the RBS ETNs in
order for you to receive at least the principal amount of your investment back
at maturity or upon early repurchase or redemption. The RBS ETNs and the Index
do not provide exposure to spot prices of crude oil and, consequently, may not
be representative of an investment that provides exposure to crude oil. The
Index may underperform the Benchmark Index, and is expected to perform poorly
in volatile markets. Even though the RBS ETNs are listed on the NYSE Arca, a
trading market may not develop and the liquidity of the RBS ETNs may be limited
and/or vary over time, as RBS plc is not required to maintain any listing of
the RBS ETNs. The RBS ETNs are not principal protected and do not pay interest.
The intraday indicative value and the daily redemption value are not the same
as the trading price or market price of the RBS ETNs in the secondary market.
Any payment on the RBS ETNs is subject to the ability of RBS plc, as the
issuer, and RBS Group, as the guarantor, to pay their respective obligations
when they become due. You should carefully consider whether the RBS ETNs are
suited to your particular circumstances before you decide to purchase them. We
urge you to consult with your investment, legal, accounting, tax and other
advisors with respect to any investment in the RBS ETNs.
The RBS ETNs are not suitable for all investors. You should carefully read the
relevant pricing supplement and prospectus, including the more detailed
explanation of the risks involved in any investment in the RBS ETNs as
described in the "Risk Factors" section of the pricing supplement, before
investing.
IMPORTANT INFORMATION: RBS plc and RBS Group have filed a registration
statement (including a prospectus) with the U.S. Securities and Exchange
Commission (SEC) for the offering of RBS ETNs to which this communication
relates. Before you invest in any RBS ETNs, you should read the prospectus in
that registration statement and other documents that have been filed by RBS plc
and RBS Group with the SEC for more complete information about RBS plc and RBS
Group, and the offering. You may
get these documents for free by visiting EDGAR on the SEC's web site at www.sec.
gov. Alternatively, RBS plc, RBS Securities Inc. (RBSSI) or any dealer participating in
the offering will arrange to send you the prospectus and the pricing supplement at no
charge if you request it by calling 1-855-RBS-ETPS (toll-free).
RECENT DEVELOPMENTS: On June 13, 2013, we announced that we would be
exiting the structured retail investor products business that is responsible for issuing
and maintaining the RBS ETNs, and that we expect to move such business into a runoff
organization which will go through a process of restructuring and / or business sales
(the "RBS Retail Investor Products Exit Plan"). The implementation of the RBS Retail
Investor Products Exit Plan increases the likelihood that the RBS ETNs will be redeemed
by us prior to maturity. We plan to continue to maintain and issue the RBS ETNs, but our
plans could change. We cannot give you any assurances as to any minimum period of
time that you may hold the RBS ETNs before we redeem them at our option.
RBS Oil Trendpilot[] Index (USD) and RBS 12-Month Oil Total Return Index (USD) are
the property of RBS plc. The Index and the Benchmark Index are calculated by NYSE
Arca, a wholly-owned subsidiary of NYSE Euronext. The RBS ETNs, which track the
Index and may track the Benchmark Index, are not issued, sponsored, endorsed, sold
or promoted by NYSE Arca, and NYSE Arca makes no representation regarding the
advisability of investing in the securities.
NYSE ARCA MAKES NO EXPRESS OR IMPLIED WARRANTIES,
AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
WITH RESPECT TO THE INDEX OR BENCHMARK INDEX OR ANY
DATA INCLUDED THEREIN. IN NO EVENT SHALL NYSE ARCA TWTI
HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR
CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF
NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
Copyright [C] 2013 RBS Securities Inc. All rights reserved. RBS Securities
Inc., a U.S. registered broker-dealer, member of FINRA and SIPC, is an indirect
wholly-owned subsidiary of The Royal Bank of Scotland plc.
www. rbs.com/etnUS | TOLL FREE: 855-RBS-ETPS | Not FDIC Insured. May Lose
Value.
Dated July 16, 2013
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